Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0213
Annualized Std Dev 0.1762
Annualized Sharpe (Rf=0%) -0.1207

Row

Daily Return Statistics

Close
Observations 4357.0000
NAs 1.0000
Minimum -0.2174
Quartile 1 -0.0038
Median 0.0000
Arithmetic Mean 0.0000
Geometric Mean -0.0001
Quartile 3 0.0041
Maximum 0.1402
SE Mean 0.0002
LCL Mean (0.95) -0.0004
UCL Mean (0.95) 0.0003
Variance 0.0001
Stdev 0.0111
Skewness -2.0862
Kurtosis 56.9876

Downside Risk

Close
Semi Deviation 0.0084
Gain Deviation 0.0082
Loss Deviation 0.0102
Downside Deviation (MAR=210%) 0.0130
Downside Deviation (Rf=0%) 0.0084
Downside Deviation (0%) 0.0084
Maximum Drawdown 0.6683
Historical VaR (95%) -0.0136
Historical ES (95%) -0.0263
Modified VaR (95%) -0.0112
Modified ES (95%) -0.0112
From Trough To Depth Length To Trough Recovery
2005-02-03 2008-12-15 NA -0.6683 4060 974 NA
2004-05-05 2004-12-09 2005-01-07 -0.0462 172 152 20
2003-12-15 2004-01-27 2004-05-04 -0.0417 97 29 68
2005-01-14 2005-01-25 2005-02-01 -0.0196 12 7 5
2003-12-01 2003-12-02 2003-12-09 -0.0020 7 2 5

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2003 NA NA NA NA NA NA NA NA NA NA -0.1 -0.5 -0.7
2004 0.5 -0.1 -0.4 0.1 0.4 -0.3 0.1 0 0 -0.1 -0.9 0.4 -0.2
2005 0.5 0.8 -0.8 0.7 0.9 1.6 0.2 0.6 1.3 0.5 0.1 0.2 6.8
2006 0.2 0.7 0.1 0.1 0.3 -0.3 0.2 0.4 0.2 0.2 -0.1 -0.1 2
2007 0.7 -1 0.1 0.1 0.2 0.6 -1 0.8 1.1 -0.8 1.1 0.5 2.5
2008 -0.3 0 2.7 0.1 0 0.1 1.5 -0.2 2.4 -0.8 -4.2 1.7 3
2009 2.7 4 1.4 0.8 2.7 1.4 3.7 -1.2 -1.7 -1.7 1 -1.2 12.3
2010 0.2 1.2 0 0.8 -0.4 0.1 1.2 -1 -0.4 0.1 1.8 -0.6 3
2011 0.6 0.8 -0.2 -0.1 0.6 -0.2 1.7 2.3 2.3 -2.1 -0.8 -0.1 4.8
2012 -0.7 0.7 -1.8 0.5 -0.5 -1.5 -0.2 0.5 0.7 0.4 -2.4 -0.3 -4.6
2013 0.7 0.4 0.2 -1.2 -1.5 -1 -0.3 0.1 -0.4 -0.6 0.1 -0.3 -3.9
2014 0.1 -0.2 0.2 0.4 0.5 -0.3 -0.5 -0.2 0.1 -0.2 -0.8 1.7 0.8
2015 0 0.3 0.2 -0.4 -0.3 0.4 -0.2 -0.1 -0.5 -0.8 0 -0.1 -1.4
2016 -0.7 1.5 -0.5 0.5 1 0.5 -0.7 0.8 0.4 -0.4 -0.5 0.5 2.5
2017 0.1 0.3 0.5 -0.1 0.1 1.8 0.3 0 0.1 -0.1 0.3 0.3 3.6
2018 0.3 0.2 0.3 0.1 0.3 -0.2 0 0.1 0.4 0.4 -0.3 1 2.7
2019 0.5 -0.2 1.3 0.5 -1 0.2 -0.4 0.2 -0.3 -0.2 0 0.3 0.8
2020 -0.5 -0.7 -3.9 -1 1.7 0.9 0 0.4 0.9 0.1 1 -0.5 -1.7
2021 1 0 -0.1 NA NA NA NA NA NA NA NA NA 0.9

Row

Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart